Kettera Strategies' August 2022 Heat Map Analysis
In August 2022, the financial landscape presented a mix of challenges and opportunities for different investment strategies. Let's delve into the performance of various manager styles, as detailed in the Kettera Strategies August 2022 report.
Systematic Trend Managers typically thrive on clear directional market trends. Their performance in August was influenced by the presence or absence of sustained trends across asset classes. If markets exhibited strong directional momentum, it would likely have favored these managers.
Discretionary Global Macro Managers rely on macroeconomic views and discretionary trading decisions. Their results were shaped by global macroeconomic developments such as interest rates, central bank policies, geopolitical events, and shifting economic data that influenced market volatility and directional biases in global markets. August was less than kind to these managers, as many that had been profitable year-to-date (YTD) suffered setbacks.
Volatility/Options Specialists focus on trading volatility and options strategies. Their performance hinges on changes in implied volatility levels, realized volatility spikes, and market events that create opportunities for volatility arbitrage or hedging. August market turbulence or uncertainty would be key factors.
Currency Specialists actively trade foreign exchange markets. Their returns depend on currency market volatility, interest rate differentials, trade flows, and geopolitical or economic data affecting currency valuation shifts. August was a simple month for Currency Specialists, with the US dollar leading the way in performance.
Other benchmarks mentioned include the Barclay Discretionary Traders Index and Bridge Alternatives Commodity Hedge Fund Index, the Barclay Fixed Income Arbitrage Index, the Barclay Hedge Currency Traders Index, the Barclay Agricultural Traders Index, and the Barclay Crypto Traders Index.
Managers relying on trading flow data were generally sidelined due to weak flows in August. Short positions in bonds and short-term interest rates in Europe and North America contributed to profits for systematic trend programs. Trend-based systems did not fare well in commodities, with short positions in precious metals being the only source of positive returns.
In the realm of alternatives, the Eurekahedge Relative Value Volatility Hedge Fund Index and Eurekahedge Long Volatility Index, the Eurekahedge Asset Weighted Multi Strategy Asset Weighted Index, and the Barclay Hedge Fund Multi Strategy Index were also referenced. The Eurekahedge AI Hedge Fund Index and the Eurekahedge Event-Driven Hedge Fund Index were also mentioned.
Long positioning in the USD versus the G10, especially the British pound, euro, and JPY, was profitable for both longer-term macro programs and higher frequency strategies. Long USD vs. emerging market units was generally profitable, with a few exceptions like the Mexican peso.
It's important to note that the "style baskets" referenced in the letter were created by Kettera for research purposes and are not investible products or index products. The Societe Generale Short-term Traders Index was provided for illustrative purposes.
While the report does not provide explicit details on these factors, the typical influences for these strategy types are as described above. Without direct excerpts from the report, the exact market drivers and performance impacts specific to August 2022 cannot be conclusively identified from the documents retrieved. The SEC filings and other sources found do not cover the Kettera Strategies August 2022 report or its performance attribution for these manager categories.
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